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ExchangeTradedOptionGroup

ExchangeTradedOptionGroup#

class sigtech.framework.instruments.option_groups.ExchangeTradedOptionGroup

Baseclasses: OptionGroup

A class representing exchange traded option groups.

exercise_type: Optional[Literal['European', 'American']]
prime_history_field: Optional[str]
VS_PRICED_SUFFIX = '(VS PRICING)'
available_options(value_date=datetime.date(1, 1, 1), up_to=datetime.date(9999, 12, 31), symbology=Symbology.SIG)

Queries for available options in the chain.

Parameters:

  • value_date – First date (inclusive) to look for options (default=``dtm.date.min``)

  • up_to – Last date (inclusive) to look for options (default=``dtm.date.max``)

  • symbology – (Not used) Define what symbology to return options for

Returns:

Available options in the chain given the inputs

classmethod from_underlying(underlying)

Return the object referenced by an underlying.

Parameters:

underlying – Underlying identifier.

Returns:

Object.

get_nearest_strike(target, maturity_date, strike_type='Price') → float

Gets the nearest strike available for a given type of option and maturity date. Can return strikes in either price terms or delta terms.

Parameters:

  • target – Target strike to search around

  • maturity_date – Maturity date to query for

  • strike_type – 'Price', 'Delta' or 'Premium' (defaults to price)

Returns:

The nearest strike given the inputs

get_option(option_type: str, strike: Union[float, str], start_date: date, maturity: Union[date, str], strike_type: str = 'Price', *args, **kwargs)

Gets the nearest option available for a given type of option, strike and start+maturity date.

Parameters:

  • option_type – 'Call' or 'Put'.

  • strike – Strike of option in either price, delta terms or premium.

  • start_date – Strike date of the option.

  • maturity – Maturity date of the option or maturity tenor such as '3M'.

  • strike_type – 'Price', 'Delta' or 'Premium' (defaults to price).

  • args – Not used, added for compatibility.

  • kwargs – Not used, added for compatibility.

Returns:

The nearest option available given the inputs.

get_option_group_dependencies(t: time, tz: tzinfo, valuation_currency: str, start_dt: datetime, end_dt: datetime, greek_calculation_dependencies: bool = False) → list[sigtech.framework.internal.infra.mu.graph.registry.factory.Dependency]

Dependencies at the option group level